The Georgiou-Lindquist problem of Kullback- Leibler approximation of a spectrum with spectra that are consistent with given state-covariance statistics is considered. An alternative solution algorithm is presented. Simulation indicates that the algorithm is extremely effective.

A new algorithm for Kullback-Leibler approximation of spectral densities

PAVON, MICHELE;FERRANTE, AUGUSTO
2005

Abstract

The Georgiou-Lindquist problem of Kullback- Leibler approximation of a spectrum with spectra that are consistent with given state-covariance statistics is considered. An alternative solution algorithm is presented. Simulation indicates that the algorithm is extremely effective.
2005
Proceedings of the 44th IEEE Conference on Decision and Control
0780395689
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/2471926
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